Comparing Dynamic Equilibrium Models to Data : A Bayesian Approach ∗ †

@inproceedings{FernndezVillaverde2002ComparingDE,
  title={Comparing Dynamic Equilibrium Models to Data : A Bayesian Approach ∗ †},
  author={Jes{\'u}s Fern{\'a}ndez-Villaverde and Ellen R. McGrattan and Lee E. Ohanian and T. Sargent},
  year={2002}
}
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation: asymptotically, the parameter point estimates converge to their pseudotrue values, and the best model under the KullbackLeibler distance will have the highest posterior probability. Second, we illustrate the strong… CONTINUE READING
Highly Influential
This paper has highly influenced 11 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 67 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 52 extracted citations

67 Citations

0510'06'09'12'15'18
Citations per Year
Semantic Scholar estimates that this publication has 67 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 39 references

On Asymptotic Normality of Limiting Density Functions with Bayesian Implications

  • C. F. CHEN
  • Journal of the Royal Statistical Society, Series…
  • 1985
Highly Influential
4 Excerpts

Multiple Time Series

  • E. J. HANNAN
  • 1970
Highly Influential
3 Excerpts

A Unified Econometric Framework for the Evaluation of DGSE Models

  • F. SCHORFHEIDE
  • Mimeo, University of Pennsylvania
  • 1999
2 Excerpts

Bayesian Comparison of Dynamic Macroeconomic Models

  • J. LANDON-LANE
  • Univeristy of Minnesota
  • 1999
3 Excerpts

MCMC Convergence Diagnostics: a ‘reviewww”

  • K. L. MENGERSEN, C. P. ROBERT, C. GUIHENNEUC-JOUYAUX
  • in J. Berger et al. (eds.), Bayesian Statistics
  • 1999

“ Bayesian Comparison of Dynamic Macroeconomic Mod

  • E. M. LEEPER, C. A. SIMS
  • Ph . D . Thesis , Univeristy of Minnesota
  • 1999

Comparing Misspecified Dynamic Econometric Models Using Nonparametric Likelihood

  • Y. KITAMURA
  • Mimeo, University of Wisconsin-Madison
  • 1998
1 Excerpt

Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models

  • KIM, JAE-YONG
  • Econometrica
  • 1998

Similar Papers

Loading similar papers…